Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses
AbstractThis paper attempts to synthesize various procedures for testing non-nested hypotheses within the framework of artificial nesting, and establishes the result that different tests correspond to different treatments of its identification problem. Numerical and a priori identification methods are distinguished. We derive two modified likelihood ratio tests that are asymptotically equivalent to the Cox-test and explain the relationship between them. The tests are consistent.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 420.
Date of creation: 1981
Date of revision:
Other versions of this item:
- Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
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